Excess Kurtosis

Excess Kurtosis – The measure of peak and tail fatness in the distribution. The tails of a probability distribution contain additional information about the extreme values a random variable can take. The value is the excess over the standard normal distribution, for which the kurtosis is 3. Positive values signal more weight around the mean and fatter tails relative to the normal distribution.

Investors who are required to select and monitor investment managers should develop a basic understanding of investment statistics. Quantitative tools can provide you with good insight that you can use in your qualitative interviews with managers and when monitoring your investments.